Background: To our knowledge, there have been no systematic reviews of health economic evaluations of proton therapy specific to lung cancer. Methods: We conducted this systematic review according to the predefined protocol [PROSPERO CRD42022365869]. We summarized the results of the included studies via structured narrative synthesis. Results: We identified four studies (all used passively scattered proton therapy) from 787 searches. Two cost analyses reported that proton therapy was more costly than photon therapy for early- or locally advanced-stage non-small cell lung cancer, one cost-utility analysis reported that proton therapy was dominated by nonproton therapy in early-stage non-small cell lung cancer, and one cost-utility analysis reported that proton therapy was not cost-effective (vs. photon) in locally advanced non-small cell lung cancer. Conclusions: Passively scattered proton therapy was more costly and not cost-effective than photon therapy for early- and locally advanced-stage non-small cell lung cancer. Further health economic evaluations regarding modern proton therapy (such as scanning beam) for common radiotherapy indications of lung cancer are eagerly awaited.